Risk-Sensitive Portfolio Optimization With Transaction Costs

Journal of Computational Finance - United States
doi 10.21314/jcf.2004.115
Full Text
Abstract

Available in full text

Date
Authors
Publisher

Infopro Digital Services Ltd

Related search

Portfolio Selection With Transaction Costs and Default Risk

Managerial Finance
AccountingManagementFinanceBusinessStrategy
2017English

Portfolio Optimization Under Transaction Costs in the CRR Model

Mathematical Methods of Operations Research
Management ScienceSoftwareOperations ResearchMathematics
2005English

The Optimization of the Mean-Variance Portfolio Selection With Nonsmooth Concave Transaction Costs

DEStech Transactions on Computer Science and Engineering
2017English

Risk-Sensitive Portfolio Optimization and Its Applications

Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications
2011English

Log-Optimal Portfolio-Selection Strategies With Proportional Transaction Costs

Machine Learning for Financial Engineering
2012English

Optimal Portfolio Selection for the Small Investor Considering Risk and Transaction Costs

Operations-Research-Spektrum
Management ScienceOperations Research
2008English

Optimal Portfolio Choice With Predictability in House Prices and Transaction Costs

SSRN Electronic Journal
2009English

Robust Multiperiod Portfolio Management in the Presence of Transaction Costs

Computers and Operations Research
Management ScienceSimulationComputer ScienceOperations ResearchModeling
2008English

Transaction Costs, Liquidity Risk, and the CCAPM

Journal of Banking and Finance
EconomicsEconometricsFinance
2016English

Amanote Research

Note-taking for researchers

Follow Amanote

© 2024 Amaplex Software S.P.R.L. All rights reserved.

Privacy PolicyRefund Policy